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Senior Manager, Structural Market Risk

BMO Financial Group

This is a Full-time position in Chicago, IL posted May 29, 2020.

Location:Chicago, IL

Job Family Group:

Finance & Accounting

Supports the research and development of quantitative risk modeling methodologies and related strategies in support of managing structural market risks arising from business/group portfolios and products. Develops and implements models to ensure market risk in banking products are properly measured and support effective risk management practices. Works with internal and external stakeholders to ensure market risks are properly identified and understood with supporting models and strategies successfully implemented.

Key Accountabilities

  • Expand the capabilities of the QRM ALM and FTP model:
    • Build and maintain a single master database to meet the ALM risk measurement objectives of the various legal entity views.  Utilize this master database platform to build daily FTP rate assignment capability for the enterprise.
    • Manage and coordinate the expanded vision of QRM use across a range of subject matter experts in Corporate Treasury and Market Risk
    • Develop and update future state ALM reporting infrastructure, including ETL exports from QRM of key data points to a central data repository.  Coordinate the build of efficient production and ad hoc reporting tools.
    • Develop and maintain derived attribution logic in QRM MR
    • Ownership of QRM Change Management Forum/process
    • Ownership of QRM Master for all use cases (ALM, FTP, Enterprise Wide Stress Testing (EWST)/CCAR/Planning/ Market Risk tests)
    • Explore continuous improvement options for QRM (MR & Framework) to streamline existing processes and reduce cycle times
    • Coordinate with T&O for ongoing hardware environment needs, migration to the cloud, upgrade testing
    • Work with external stakeholders where applicable to develop and expand on QRM’s usage, including, for example, regulatory reporting, liquidity cash flow forecasting, Resolution Planning, CECL, etc.
    • Streamline/enhance existing EWST process by leveraging QRM framework (similar to BFC’s CCAR approach).
    • Maintain fulsome risk framework documentation for Model Risk review process and regulatory compliance
  • Engage in the Behavioral Model Risk management process
    • Collaborate with Treasury model development teams in the review and design of behavioral models to ensure they can be implemented efficiently in QRM across all relevant use cases
  • Design and build data enhancements for improved Risk measurement:
    • Coordinate with T&O requirements for development of new data feeds and enhancements to existing feeds
    • Work with Data Governance to identify and resolve data issues as they are discovered
    • Work with Data Governance to establish data quality rules for critical data elements
  • Provides strategic input into business decisions as a trusted advisor.
  • Makes recommendations to senior leaders on strategy and new initiatives, based on an in-depth understanding of the business/group.
  • Acts as a subject matter expert on relevant regulations and policies.
  • May network with industry contacts to gain competitive insights and best practices.
  • Provides structural market risk advice on funds transfer pricing policies to ensure appropriate risk-adjusted product pricing on retail and commercial products.
  • Leads the design, implementation and management of core business/group processes.
  • Develops the business case by identifying needs, analyzing potential options and assessing expected return on investment.
  • Recommends business priorities, advises on resource requirements and develops roadmap for strategic execution.
  • Manages resources and leads the execution of strategic initiatives to deliver on business and financial goals.
  • Acts as the prime subject matter expert for internal/external stakeholders.
  • Defines business requirements for analytics & reporting to ensure data insights inform business decision making.
  • Designs and produces regular and ad-hoc reports, and dashboards.
  • Leads change management programs of varying scope and type, including readiness assessments, planning, execution, evaluation and sustainment of initiatives.
  • Coordinates the management of databases; ensures alignment and integration of data in adherence with data governance standards.
  • Oversees development and implementation of structural market risk models (e.g. valuation of embedded product options, customer behavioral models, VaR methodology etc.).
  • Oversees back-testing and stress-testing to ensure the on-going effectiveness of structural market risk models, recommending changes as appropriate.
  • Ensures compliance with Bank Policies and Standards regarding financial models.
  • Develops analytical solutions, models and methodologies used to manage risks related to the Bank’s portfolios and products e.g. valuations; hedging strategies, customer behavior models, performance measurement, etc.
  • Monitors the financial market environment and model performance impacts for optimal execution of risk strategies.
  • Ensures compliance with model risk and market risk governance and provides financial instrument transaction oversight.
  • Works closely with businesses and corporate partners to perform enterprise wise stress testing of the bank’s Net Interest Income in support of capital adequacy assessment
  • Performs analytics and reporting of economic and P&L performance of Corporate Treasury as a result of its hedging, investment and funding activities.
  • Researches industry best practices with respect to structural market risk modeling and methodology
  • Designs and produces regular and ad-hoc reports, and dashboards.
  • Monitors and tracks changes to position and component risk metrics over reporting periods; addresses and / or escalates any issues.
  • Analyzes data and information to provide insights and recommendations.
  • Works with various data owners to discover and select data from internal and external sources e.g. lending system, payment system, external credit rating system.
  • Applies scripting / programming skills to assemble source data into structured datasets with multiple levels of granularities e.g., demographics, customers, products, transaction.
  • Applies suitable statistical techniques to perform analysis e.g., A/B testing, mathematical models, algorithms, machine learning to test, verify, refine hypotheses.
  • Collaborates with internal and external stakeholders to deliver on business objectives including third party suppliers.
  • Builds effective relationships with internal/external stakeholders.
  • Participates in the design, implementation and management of core business/group processes.
  • Operates at a group/enterprise-wide level and serves as a specialist resource to senior leaders and stakeholders.
  • Applies expertise and thinks creatively to address unique or ambiguous situations and to find solutions to problems that can be complex and non-routine.
  • Implements changes in response to shifting trends.
  • Broader work or accountabilities may be assigned as needed.


  • Previous experience in Asset Liability Management or Market Risk Management
  • Experienced in large ALM and/or FTP implementation projects
  • Strong in-depth experience in use of the QRM Asset Liability Management Framework and the QRM FTP Framework.
  • Strong knowledge of stochastic path valuation concepts
  • Demonstrated ability to expand the breadth of market risk and financial guidance outputs which can be achieved from a well-designed ALM system
  • Previous experience in implementation of the QRM FTP Framework, including direct experience in the use of the QRM Management Repository  (MR) system
  • Strong knowledge of FTP best practices
  • Previous experience in derivatives valuation
  • Strong subject matter knowledge of non-maturity deposit modelling and FTP practices
  • Strong understanding of loan prepayment modelling and cash flow waterfalls from structured mortgage backed securities and other asset-backed securities
  • Typically 7+ years of relevant experience and post-secondary degree in related field of study or an equivalent combination of education and experience.
  • Professional designation in Finance or Risk management preferred.
  • Advanced degree in Computer Science, Mathematics, Physics, Engineering, Statistics, or other quantitative disciplines and/or equivalent experience preferred.
  • Strong knowledge of Excel, Access, SQL, VBA.
  • Working experience in a Finance environment with exposure to one or more of the following: Risk management, financial market products and pricing, Balance Sheet / Asset Liability management.
  • In-depth knowledge of quantitative modelling including understanding of statistics, risk and financial metrics.
  • Seasoned professional with a combination of education, experience and industry knowledge.
  • Verbal & written communication skills – In-depth / Expert.
  • Analytical and problem solving skills – In-depth / Expert.
  • Influence skills – In-depth / Expert.
  • Collaboration & team skills; with a focus on cross-group collaboration – In-depth / Expert.
  • Able to manage ambiguity.
  • Data driven decision making – In-depth / Expert.

We’re here to help

At BMO Harris Bank we are driven by a shared Purpose: Boldly Grow the Good in business and life. It calls on us to create lasting, positive change for our customers, our communities and our people. By working together, innovating and pushing boundaries, we transform lives and businesses, and power economic growth around the world.

As a member of the BMO Harris Bank team you are valued, respected and heard, and you have more ways to grow and make an impact.  We strive to help you make an impact from day one – for yourself and our customers.  We’ll support you with the tools and resources you need to reach new milestones, as you help our customers reach theirs. From in-depth training and coaching, to manager support and network-building opportunities, we’ll help you gain valuable experience, and broaden your skillset.